King's College professor of finance Damiano Brigo says regulators should clamp down on dealers looking to hedge debit value adjustment gains by selling CDS protection on closely correlated names
Market risk hedges should be recognised when calculating CVA capital charge, says HSBC market risk modelling head
Regulators are looking at how financial markets could be proofed against the collapse of a CCP – but there are more questions than answers at the moment, says the EC’s Patrick Pearson
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
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Dealers are concerned that intra-day margin call guidelines, which they claim could drain up to $500 billion from financial markets, could make it into final CPSS/Iosco principles
Central clearing will place a huge burden on end-users, forcing CCPs to consider how best to create operational and margin efficiencies
Dealers will be able to cross-margin interest rate swaps, and eurodollar and Treasury futures, from May
US regulations on mandatory clearing and uncleared margin could put US dealers at a competitive disadvantage in Europe, says EIB
Counterparties will have to post variation margin on uncleared trades – but questions remain over which firms will have to post and collect initial margin
The latest council draft adds a CVA capital charge exemption for sovereign derivatives transactions – potentially removing one of the big unintended consequences of CRD IV, participants say
In bilateral over-the-counter trades, some buy-side firms insist on physical segregation of their collateral – their assets are placed with a third-party custodian. But the incoming US regime will not provide the same degree of protection, despite the...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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